Well it took some looking, but I found out to do it. With a couple of minor mods , it works!!

The gotcha is that a File Folder link is an internal MS type,

"CLSID2={0AFACED1-E828-11D1-9187-B532F1E9575D}"

which is NOT the simplest thing to work with (for this DBA, at least :-)).

See http://social.technet.microsoft.com/Forums/scriptcenter/en-US/bd00d576-6096-4c8d-bd82-3c5853eb6675/create-shortcut-in-my-network-places-using-powershell?forum=ITCG&prof=required

First post in the answers, by Aakash Shah.